My advice on "getting making it work" immediately is to use Intel MKL. If you are serious about high performance computing on windows (or crossplatform to linux), it might be worth moving to Intel C++ on its own merits. If you are academic or a student, the cost of the compiler is really cheap:
http://software.intel.com/en-us/articles/intel-academic-developer-program/ And when you move to linux, the compiler is free for non-commercial use there.